The report studies expected return proxies derived from a log-linear present value framework vs. expected return proxies based on standard factor models. The results show that the log-linear present-value framework offers an accounting-based framework for the estimation of expected returns across international markets.

Charles C.Y. Wang – Glenn and Mary Jane Creamer Associate Professor of Business Administration at Harvard Business School

Akash Chattopadhyay – Assistant Professor of Accounting at University of Toronto

Matthew R. Lyle – Assistant Professor of Accounting Information and Management and the Lawrence Revsine Research Fellow at Kellogg School of Management